OCSL Options History — March 2023

In March 2023, OCSL traded between $17.84 and $20.48. ATM implied volatility averaged 31.0%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.4% (HV 20d: 24.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 48.92.

Notable Days

  • 2023-03-10: Highest Volume — 1,029 contracts
  • 2023-03-10: Largest IV spike — 100.0% change
  • 2023-03-23: Highest IV Rank — 6.4%
  • 2023-03-23: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.88$17.84$20.48$20.18$18.73
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.0%14.7%44.4%21.3%35.5%
Expected Move8.4%4.2%12.7%6.1%10.2%
HV 20d24.6%16.7%30.1%18.2%30.1%
HV 60d22.1%20.4%23.6%20.7%23.1%
IV Rank3.9%0.9%6.4%2.1%4.8%
IV Percentile62.3%7.1%86.5%34.5%76.2%
Term Structure-2.7%-19.4%14.4%-7.7%-10.5%
VWIV27.5%14.3%43.4%21.4%28.9%
Skew 25d13.9%-45.8%45.9%45.9%10.8%
Skew 10d23.7%0.3%81.6%78.6%20.2%
Call IV 25d22.5%12.4%64.4%20.5%17.6%
Put IV 25d36.4%18.6%66.5%66.5%28.4%
Bid-Ask Spread %92.1667.55107.0571.0388.06
Gamma HHI0.640.380.900.750.47
Net GEX-41.3K-87.5K-2.4K-58.9K-6.6K
Net DEX561.2K-118.7K1.3M268.1K415.9K
Net VEX-4.5K-6.1K-2.2K-2.6K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio48.920.00901.001.620.00
Total Volume193.17441,029347
Total OI2,048.5221,0802,8091,0802,573

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$20.18$20.0021.3%6.1%18.2%2.1%21.4%45.9%-7.7%-58.9K268.1K-2.6K1.6271.031321515565
2023-03-02$20.20$20.0019.5%5.6%16.7%1.8%19.2%44.1%-1.3%-85.4K271.3K-2.7K0.5887.524526512583
2023-03-03$20.37$20.0014.7%4.2%17.0%0.9%14.3%-45.8%1.5%-82.1K52.7K-2.8K0.4284.422410566585
2023-03-06$20.48$20.0019.8%4.9%16.9%1.8%17.8%12.6%0.4%-62.1K-118.7K-2.2K5.3382.87632576591
2023-03-07$20.14$20.0023.3%8.3%18.0%2.5%27.4%10.3%-14.2%-62.1K294.7K-2.7K3.2287.091858582621
2023-03-08$20.12$20.0026.3%4.5%17.8%3.1%15.6%31.0%1.0%-69.4K317.4K-2.9K0.6089.295030600666
2023-03-09$19.38$20.0019.6%8.7%20.8%1.8%30.6%3.9%-11.8%-21.3K726.6K-2.5K1.16100.91162188616646
2023-03-10$18.51$20.0039.2%8.1%25.8%5.4%34.5%10.9%-0.2%-11.9K857.5K-3.2K170.5089.2161,023784770
2023-03-13$18.43$20.0043.4%9.1%25.1%6.2%35.3%25.7%-1.8%-56.1K1.3M-4.7K5.5591.14291617881,669
2023-03-14$18.23$20.0044.1%7.5%24.7%6.4%27.7%7.1%14.4%-84.8K1.2M-4.8K23.2590.09245588021,564
2023-03-15$18.13$20.0034.4%9.9%24.5%4.6%34.5%12.3%4.6%-87.5K1.2M-6.1K9.3567.55232158501,959
2023-03-16$18.27$20.0036.5%10.5%25.0%4.9%26.9%5.8%-14.6%-73.2K1.1M-5.8K0.30102.2573228661,806
2023-03-17$17.84$20.0041.2%11.8%25.5%5.8%43.4%17.4%-3.2%-45.8K1.1M-5.9K901.0089.0319019441,824
2023-03-20$17.98$20.0031.5%9.0%24.8%4.0%26.7%3.1%-0.6%-39.6K686.6K-5.1K0.0387.139938381,173
2023-03-21$18.66$20.0029.3%8.4%28.4%3.6%21.7%8.9%14.4%-32.6K465.8K-4.9K0.06107.05345228941,175
2023-03-22$18.27$20.0026.9%7.7%29.0%3.2%19.4%13.0%10.1%-20.8K500.2K-5.0K0.14104.2395131,2311,173
2023-03-23$18.02$20.0044.4%12.7%28.8%6.4%42.8%26.9%-19.4%-4.5K367.6K-5.7K0.61100.6718111,3201,178
2023-03-24$18.29$20.0034.8%10.0%29.7%4.6%33.0%17.6%-11.9%-11.0K378.6K-5.9K0.33106.24311,3281,188
2023-03-27$18.45$20.0028.8%8.3%29.6%3.5%25.2%10.0%5.1%-12.6K428.5K-5.7K0.5695.5936201,3281,190
2023-03-28$18.38$20.0034.3%9.8%29.6%4.5%0.0%21.6%-7.1%-2.4K338.1K-5.6K0.00100.892801,3401,205
2023-03-29$18.57$20.0030.9%8.8%30.1%3.9%30.8%15.6%3.8%-13.2K488.8K-5.1K0.0692.091611,3581,205
2023-03-30$18.55$20.0034.4%9.9%30.1%4.6%28.9%11.8%-14.1%-7.0K351.5K-5.5K0.50105.42421,3631,206
2023-03-31$18.73$20.0035.5%10.2%30.1%4.8%0.0%10.8%-10.5%-6.6K415.9K-4.9K0.0088.06701,3671,206